Every day we put out a markets forecast – a group of quant-based trade set-ups – primarily for Equities, Fixed and Gold. This is how the Forecast has done (un-leveraged) – Acct Bal $1,000,000 Date $/contract %/contract Mar-12 $20,839 2.1% Apr-12 $8,958 0.9% May-12 $16,796 1.7% Jun-12 $21,020 2.1% Jul-12 ($1,378) -0.1% Aug-12 $6,338 0.6% Read more about August Performance[…]
P&L’s turn faster than historical data. That matters. –h
“Once I was able to see probability as the intensity of belief…” From ‘The Joy and Martyrdom of Trying to Be a Bayesian” –h
This post from R-Bloggers on the Bradley-Terry model for forecasting outcomes of head-to-head match-ups is interesting. Think highly and inversely correlated markets or stocks, –h
Scrambling to catch up here’s June Performance. July and August should be up tomorrow. –h
Our measure of risk and opportunity in several markets: Market Stress, August 30, 2013 Purely qualitative at this point Based on the ideas found here. –h
Trend Day Forecast – Since Inception Un-leveraged P&L P&L: +$102,867 (13 months, +$7,912/contract/month) Percent Wins: +61% Months profitable: +76% MaxDD: -2.6% t Score: 3.12 (statistically significant) Trend Day Forecast – March Un-leveraged P&L P&L: +$26,198 per contract Percent Wins: +76% More details are here.
Markets tend to stay w/in their ranges when the indicators below have ‘Neutral’ readings – ES Trend Indicator: +56 (Neutral), Financial Markets RORO: +0.04 (Neutral) Correlations: Neutral Signals – The Trend Day Forecast currently has signals across Intraday, Swing, Multiday and Overnight timeframes in – Bonds (Long) Bunds (Long) Gold (Long, Automated Long) –h Henry Read more about [Rangebound Day] Feb 01, 2013[…]
The average monthly single contract gain from The Forecast is $9,385. In November we added coverage for Corn, Copper and Crude. The Forecast now covers US, Bund, ES, Stoxx, Gold, Corn, Copper and Crude. Highlights: November return: +0.1% Unleveraged return (annual): +12.6 % Max drawdown: -2.6% Percent wins: 62% t score: 2.78 (Forecast results are Read more about November Performance[…]
For October, the set-ups in The Trend Day Forecast were correct 70% of the time and grossed $8,629 per contract. The average monthly single contract gain from The Forecast is $10,318. At the end of the month we added and are sending the set-ups from 5 new automated systems in Bund, Stoxx, Bond, SP and Read more about October Performance[…]